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Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise

  • Rafał Kulik (a1)

Abstract

We consider a stationary moving average process with random coefficients, , generated by an array, {C t,k , tZ, k ≥ 0}, of random variables and a heavy-tailed sequence, {Z t , tZ}. We analyze the limit behavior using a point process analysis. As applications of our results we compare the limiting behavior of the moving average process with random coefficients with that of a standard MA(∞) process.

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Copyright

Corresponding author

Postal address: Department of Mathematics and Statistics, University of Ottawa, 585 King Edward Avenue, Ottawa, ON, K1N 6N5, Canada. Email address: rkuli438@science.uottawa.ca

References

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Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise

  • Rafał Kulik (a1)

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